Victoria V. answered 08/23/20
Professional Russian language instructor 15+ years of experience
I agree, from the first glance, these sentences seem strange to the English speakers. We need to look at them from different angles. In Russian language, you are ashamed, frustrated, warm, cold, etc., because something makes you feel this way (this feeling comes to you- this is why we using the Dative case МНЕ, not Я). In these sentences, we use the adverbs (стыдно, досадно, тепло, холодно, not the Adjectives (стыдный, досадный, тёплый, холодный).
Мне холодно. I'm cold
Я - холодный (человек). I'm a cold person.